Trade S&P500 with Sharpe ratio > 4.0?

[cpw]

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[AA_PocketsRockets]

What's the time-hold on this system? Is it based on daily bars? ie: 1-day ahead projection with a 1-day hold? or is it something shorter?

 

[cpw]

The "time hold" is variable. The "net" position is given by the system, and maintained by the trader.
Trades are usually done on the market open, to maintain the net position given by the system the previous evening. Couldn't be simpler for the trader. The scaling, or gearing as the Brits call it, is a function of your risk tolerance. i.e., if you have no tolerance for risk, your scale factor is 0.0, yielding a net position of zero, with zero loss potential. Your personal scaling factor is obtained through an analysis of the historical returns behaviour of the systems retrun stream, with particular attention to draw-downs, runs analysis, Sharpe ratio's, Sterling ratio's etc.

 

[AA_PocketsRockets]

So it always keeps a position in the market (aside from when rating=0), and just changes position size? Basically you take a position size in proportion to the rating it gives on the [-10, +10] interval? For example, 10 contracts short when rating=-10, 3 contracts long when rating=+3, etc...? And you update your position size once per day on the open. So it doesn't give any intraday predictions like, say, over the next hour or something?